This article will update the Highland Global study, “Discount Statistics of Closed-end Funds,” (originally published in November 2005) for data relating to the fourth quarter of 2006.  Please see the original article for more details regarding discount statistics of closed-end funds available at www.HighlandGlobal.com. 

Barron’s Closed-End Fund Data

            Each quarter, Barron’s Online (www.barrons.com) reports statistics on publicly-traded closed-end funds.  The statistics reported include the discount (or premium) of the market price from the fund’s net asset value (NAV), the 52-week average discount or premium, the fund’s objective, and various return measurements, etc.  For the fourth quarter ending December 31, 2006, Barron’s reported that 413 closed-end funds traded at discounts to their NAV.  For the third quarter ending September 30, 2006, 439 closed-end funds traded at discounts to their NAV.  For the fourth quarter, the average discount to NAV was 6.1% with a median of 5.9% and a standard deviation of 3.6% as compared to an average of 7.1%, a median of 6.9% and a standard deviation of 4.3% for the third quarter 2006.  The average discount to NAV for the second quarter was 8.3% with a median of 7.9% and a standard deviation of 4.4%.  For the first quarter, the average discount to NAV was 7.4% with a median of 6.9% and a standard deviation of 4.6%.

For the fourth quarter, 466 closed-end funds traded at a 52-week average discount to NAV as compared to 471 through the end of the third quarter 2006.  For the fifty-two weeks ending December 31, 2006, the average 52-week discount to NAV was 7.2% with a median of 6.6% and a standard deviation of 4.3% as compared to an average of 7.7%, a median of 7.4% and a standard deviation of 4.3% for the fifty-two weeks ending September 30, 2006.  As of June 30, 2006, 459 funds traded at a 52-week average discount to NAV.  For the second quarter, the average 52-week discount to NAV was 7.7% with a median of 7.5% and a standard deviation of 4.3%.  For the first quarter, 463 funds traded at a 52-week average discount to NAV.  The average 52-week discount to NAV for the first quarter was 7.5% with a median of 7.1% and a standard deviation of 4.4%.

For the fourth quarter of 2006, the discounts to NAV ranged from 0.1% to 24.6% with the 52-week discount ranging from 0.1% to 25.6%.  For the third quarter the discounts to NAV ranged from 0.1% to 27.3% with the 52-week average discount ranging from 0.1% to 25.3%.  For the second quarter, the discounts to NAV ranged from 0.1% to 27.3% with the 52-week average discount ranging from 0.1% to 24.8%.  For the first quarter of 2006, the discounts ranged from 0.1% to 24.3% with the 52-week average discount ranging from 0.1% to 25.8% as of March 31, 2006.

Morningstar’s Beta Data & Barron’s Closed-End Fund Data

            Morningstar (www.morningstar.com) reported betas for approximately 392 of the closed-end funds with discounts to NAV for the fourth quarter as compared to 386 at the end of the third quarter.  Morningstar reported betas for 362 and 373 of the closed-end funds with discounts to NAV at the end of the first and second quarter 2006, respectively.  For the fourth quarter of 2005, roughly 380 of the closed-end funds with discounts to NAV had reported betas.  The betas at the end of the fourth quarter of 2006 ranged from -0.07 to 2.76 whereas in the third quarter of 2006 the betas ranged from -0.08 to 2.22.  These figures are comparable to a second quarter range of -0.06 to 2.35.  For the first quarter, the betas ranged from -0.4 to 2.36.

Funds for which the beta statistic was available traded at 52-week average discounts ranging from 0.1% to 25.6% through the end of the fourth quarter as compared to a range of 0.1% to 25.3% through the end of the third quarter.  The range was 0.1% to 24.3% through the end of the second quarter.  Through the end of the first quarter 2006, the 52-week average discount range for closed-end funds with reported betas was 0.1% to 25.2%.

Through the end of the fourth quarter 2006, the average 52-week discount for funds with a reported beta was 7.1% with a median of 6.7% and a standard deviation of 3.9%.  For the third quarter, the average 52-week discount for funds with a reported beta was 7.6% with a median of 7.3% and a standard deviation of 4.1%.  For the second quarter, the average 52-week discount was 7.3% with a median of 7.3% and a standard deviation of 4.1% as compared to an average as of the end of the first quarter of 7.1%, a median of 6.6%, and a standard deviation of 4.2%.

Barrons Discount Update 4th Quarter 2006